Related papers: Superpositions of CARMA processes
Superparticle models with $OSp(N|2)$ supersymmetry group are studied. We first consider the $N=4$ case and construct the models with $\kappa$-symmetry on the coset spaces of the $OSp(4|2)$ supergroup. In addition, within the canonical…
Continuous-time autoregressive moving average (CARMA) processes have recently been used widely in the modeling of non-uniformly spaced data and as a tool for dealing with high-frequency data of the form $Y_{n\Delta}, n=0,1,2,...$, where…
In this paper, we consider a wide class of time-varying multivariate causal processes which nests many classic and new examples as special cases. We first prove the existence of a weakly dependent stationary approximation for our model…
We extend the class of semimartingales in a natural way. This allows us to incorporate processes having paths that leave the state space R^d. In particular Markov processes related to sub-Markovian kernels, but also non-Markovian processes…
We study monotone and convex stochastic orders for processes with independent increments. Our contributions are twofold: First, we relate stochastic orders of the Poisson component to orders of their (generalized) L\'evy measures. The…
Process convolutions yield random fields with flexible marginal distributions and dependence beyond Gaussianity, but statistical inference is often hampered by a lack of closed-form marginal distributions, and simulation-based inference may…
We study high-dimensional drift estimation for L\'evy-driven Ornstein--Uhlenbeck processes based on discrete observations. Assuming sparsity of the drift matrix, we analyze Lasso and Slope estimators constructed from approximate likelihoods…
We characterize all possible independent symmetric alpha-stable (SaS) components of an SaS process, 0<alpha<2. In particular, we focus on stationary SaS processes and their independent stationary SaS components. We also develop a parallel…
This paper builds a multivariate L\'evy-driven Ornstein-Uhlenbeck process for the management of non-maturing deposits, that are a major source of funding for banks. The contribution of the paper is both theoretical and operational. On the…
We provide analytical tools for pricing power options with exotic features (capped or log payoffs, gap options ...) in the framework of exponential L\'evy models driven by one-sided stable or tempered stable processes. Pricing formulas take…
We give a short introduction to the theory of L\'evy processes on dual groups. As examples we consider L\'evy processes with additive increments and L\'evy processes on the dual affine group.
Recently Carr and Wu (2004, 2005) and also Huang and Wu (2004) show that most stochastic processes used in traditional option pricing models can be cast as special cases of time-changed L\'evy processes. In particular these are models which…
The deformed double covering of E(2) group, denoted by $\tilde{E}_\kappa(2)$, is obtained by contraction from the $SU_\mu(2)$. The contraction procedure is then used for producing a new examples of differential calculi: 3D-left covariant…
In this paper the problems of the retrospective analysis of models with time-varying structure are considered. These models include contamination models with randomly switching parameters and multivariate classification models with an…
Treating the time of an event as a quantum variable, we derive a scheme in which superpositions in time are used to perform operations in an indefinite causal order. We use some aspects of a recently developed space-time-symmetric formalism…
In this paper we introduce the well-balanced L\'{e}vy driven Ornstein-Uhlenbeck process as a moving average process of the form $X_t=\int \exp(-\lambda |t-u|)dL_u$. In contrast to L\'{e}vy driven Ornstein-Uhlenbeck processes the…
We consider a mixed moving average (MMA) process X driven by a L\'evy basis and prove that it is weakly dependent with rates computable in terms of the moving average kernel and the characteristic quadruple of the L\'evy basis. Using this…
In this paper we define and characterize cointegrated continuous-time linear state-space models. A main result is that a cointegrated continuous-time linear state-space model can be represented as a sum of a L\'evy process and a stationary…
In this paper we define a class of coverage processes with infinitely divisible finite dimensional distributions and a particular type of correlation structure that can be thought of as generalizations of the classical Ornstein--Uhlenbeck…
In this paper we develop a framework for discretely compounding interest rates which is based on the forward price process approach. This approach has a number of advantages, in particular in the current market environment. Compared to the…